Kolodziej, Marek; Kaufmann, Robert K. - In: Energy Economics 40 (2013) C, pp. 176-182
We extend the analysis of causal relations between trader positions and oil prices and the process of price discovery by estimating a cointegrating vector autoregression (CVAR) model that expands the cash-and-carry relation between spot and futures prices to quantify long- and short-run...